Halo particles don't render in Cycles
For Cycles to render something, it has to have some kind of geometry for the light to interact with.  But particles are really just 0-dimensional points in space, by default they have no geometry.  So for Cycles to render them you need to give them some geometry.
You have several options under the Particle Settings panel &gt; Render rollout as to how to render the particles:


None: the particles themselves are not rendered at all.  Use this option if you are using the particles just to control something else; such as a point density cloud, smoke simulation, explode modifier, etc.
Halo: the particles are rendered as small volumetric-like glowing points.  Note: this button only works in Blender Internal, to render halos in Cycles you must use point density clouds (see below).
Line: the particles are rendered as line segments pointing in the direction of their velocity.
Path: used for hair or keyed particles.
Object: the particles are rendered as instances of a specified object.
Group: the particles are rendered as instances randomly picked from a specified group.
Billboard: the particles are rendered as square planes whose normals always face the camera.

Point Clouds

Rendering halos in Cycles is a little more complicated (but way more flexible and useful) than in BI.  As stated above, you must use volumetric Point Clouds.
To set this up create a domain object (usually, but not necessarily, a cube) around the particles, make sure all particles you want to render halos are within the box (or use multiple domains).
Then give the domain object a volumetric emission material by plugging an Emission shader into the Volume Material Output socket.  By default this will simply emit light from the entire volume, so to tell it to only emit light from where there are particles add a Point Density texture node controlling the emission strength.

Here's an overview of the Point Density node's settings:

Particle System:  Use a particle system to control the point cloud.  Points will be rendered at the particles' locations.  (This is what you want.)
Object Vertices:  Use the vertices of an object  to control the point cloud.  Points will be rendered at each vertex of the selected object.
Object:  The object to get the particle system or vertices from.
Particle System:  The particle system from the specified obejct to use for the point cloud.
Space:  If you want the halos to be rendered exactly where the particles are in the scene use World Space.  If you want the particles' locations to be scaled down and moved to fit in the domain object use Object Space.  Most of the time you want World Space.
Radius:  The radius of each individual halo.
Interpolation:  The interpolation method between voxels.  Cubic or Linear usually works best, Closest gives no interpolation.
Resolution:  The number of subdivisions (voxels) in the volume.
Color Source:  The property value to send to the Color output socket.